Cross-entropy method

Kroese, Dirk P. (2010). Cross-entropy method. In Encyclopedia of operations research and management sciences 3rd ed. (pp. 1-12) New York, United States: Springer-Verlag. doi:10.1002/9780470400531.eorms0210


Author Kroese, Dirk P.
Title of chapter Cross-entropy method
Title of book Encyclopedia of operations research and management sciences
Place of Publication New York, United States
Publisher Springer-Verlag
Publication Year 2010
Sub-type Chapter in textbook
DOI 10.1002/9780470400531.eorms0210
Edition 3rd
ISBN 9780470400531
Start page 1
End page 12
Total pages 12
Total chapters 593
Collection year 2011
Language eng
Abstract/Summary The cross-entropy method is a recent versatile Monte Carlo technique. This article provides a brief introduction to the cross-entropy method and discusses how it can be used for rare-event probability estimation and for solving combinatorial, continuous, constrained, and noisy optimization problems. A comprehensive list of references on cross-entropy methods and applications is included.
Keyword Cross-entropy
KullbackÔÇôLeibler divergence
Rareevents
Importance sampling
Q-Index Code BX
Q-Index Status Confirmed Code
Institutional Status UQ
Additional Notes Published online: 15 February 2011

Document type: Book Chapter
Collections: School of Mathematics and Physics
Non HERDC
 
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Created: Tue, 15 Mar 2011, 10:10:25 EST by Prof Dirk P. Kroese on behalf of School of Mathematics & Physics